OCC Recovery Services. Buyback exposure model.
OCC Claims Passport Platform

Buyback Exposure Model

When the repurchase obligation lands, how much, by firm and by fortnight, with the self cure and must fund split.

Assumptions

Buyback per row equals principal times the assigned percent, plus accrued interest, plus ancillary. Trigger date equals last paid date plus 60 days. Adjust any field and the model recalculates.

Headline

Loan tape

What it is. The funder's loan book, exported line by line, the data the loan system already holds.

Why it is needed. It carries the three inputs the model cannot estimate: outstanding principal, last payment date, and interest rate or term. Those fix the buyback amount and the 60 day trigger for every loan.

Its significance. Without it the picture is general. With it each loan is mapped to its firm, scored, and split into likely self cure and must fund, producing the firm by firm, fortnight by fortnight calendar below and the real number to hold against it.

FirmLoansPrincipal eachLast paid Interest monthsAncillaryPrincipal total BuybackTriggerClassConfidence

Sample rows with generic firm names. Replace the names and figures with the loan tape for the agreed slice.

Picture

Buyback by fortnight

Must fundSelf cure

Exposure by firm

Must fund ledSelf cure led

Buyback calendar

Fortnight fromGross buybackSelf cureMust fundFirms driving
Full demand stress, all loan receivables
£0
If a Material Event of Default is called, the funding platform may demand repurchase of the whole book, payable in 5 business days up to a maximum of 6 months. This is the ceiling, not the loan by loan drip above.

How to read this

  1. Figures are estimates from the loan tape plus the OCC firm overlay. They are an informed forecast, not a guarantee.
  2. A loan that makes a partial payment resets its 60 day clock and moves out of the bucket shown.
  3. Must fund is the number to hold cash against. Self cure is expected to clear before trigger, on the firm read.
  4. Interest is modelled from APR and the months entered per firm. Replace with actual accrued interest from the tape for precision.
  5. The full demand stress overrides the loan by loan calendar and is the worst case, not the base case.